IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS (Q2853380)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS |
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IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS (English)
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21 October 2013
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one-dimensional swap Markov-functional model
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Bermudan swaption
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correlation
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hedging
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vega
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gamma
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parametrization by time and by expiry
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